| Overall Statistics |
|
Total Trades 11 Average Win 0.08% Average Loss 0% Compounding Annual Return 0.126% Drawdown 2.900% Expectancy 0 Net Profit 0.440% Sharpe Ratio 0.074 Probabilistic Sharpe Ratio 2.853% Loss Rate 0% Win Rate 100% Profit-Loss Ratio 0 Alpha 0.003 Beta -0.01 Annual Standard Deviation 0.016 Annual Variance 0 Information Ratio -0.768 Tracking Error 0.2 Treynor Ratio -0.116 Total Fees $11.00 Estimated Strategy Capacity $240000000.00 Lowest Capacity Asset IBM R735QTJ8XC9X |
using System.Collections.Generic;
using QuantConnect.Data;
using QuantConnect.Interfaces;
namespace QuantConnect
{
public class VirtualApricotGalago : QCAlgorithm
{
private Symbol _symbol;
private OrderTicket _limitTicket;
private OrderTicket _stopLimitTicket;
decimal TP1;
decimal TP2;
public override void Initialize()
{
SetStartDate(2017, 12, 1);
SetCash(100000);
_symbol = AddEquity( "IBM", Resolution.Daily).Symbol;
}
public override void OnOrderEvent(OrderEvent orderEvent){
if (orderEvent.Status == OrderStatus.Filled){
if(_limitTicket == null || orderEvent.OrderId != _limitTicket.OrderId){
return;
}
Debug("Sold at TP1");
var limitPrice = orderEvent.FillPrice * 1.01m;
_stopLimitTicket = StopLimitOrder(_symbol, -50, orderEvent.FillPrice, limitPrice);
}
if(_stopLimitTicket != null && orderEvent.OrderId == _stopLimitTicket.OrderId) {
Debug("Stop Limit order Executed");
}
}
public override void OnData(Slice data)
{
if (!Portfolio.Invested)
{
var close = Securities[_symbol].Close;
MarketOrder(_symbol, 100);
Debug("Purchased Stock");
_limitTicket = LimitOrder(_symbol, -50, close*1.01m);
Debug("Limit order sent at TP1");
}
}
}
}